Instead of citing the more relevant [1]},
Hansen cites the insight by Stein (1956). This
should not give a false
impression that Hansen has co-opted the Stein-rule.
This note
hopes to explain the presence of conjoint twins
(L&U) in regression model estimation from
finite samples. It is hard to separate linearity from
unbiasedness. Hence Hansen's MGMT extends the set
of estimators where OLS is more efficient than nonlinear
estimators
by an uninteresting, nearly empty set.
A generalization that extends the applicability
of GMT by one esoteric unbiased nonlinear estimator is
not a worthy generalization.

